Genetic network programming with changing structures for a novel stock selection model

Victor Parque Tenorio, Shingo Mabu, Kotaro Hirasawa

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    5 Citations (Scopus)

    Abstract

    Stock selection involves the continuous quest for the margin of safety, or a favorable difference between the stock price and its intrinsic value. Although this variable might not be quantified with exact precision, it may be approximated through the underlying relationships in financial markets and the real economy. We propose Genetic Network Programming with changing structures(GNP-cs), a novel evolutionary based algorithm to approximate these relationships through graph networks, and build asset selection models to identify the prospective stocks in the context of changing environments. GNP-cs uses functionally distributed systems to monitor the change of the economic environment and execute the strategy for stock selection adaptively. The comparison shows that the proposed scheme outperforms the standard stock selection styles using the stocks listed in the Russell 3000 Index. This paper suggests that the use of evolutionary computing techniques is an excellent tool to tackle the stock selection problem, whose advantages imply the usefulness to manage the risk and safeguard investments.

    Original languageEnglish
    Title of host publicationGenetic and Evolutionary Computation Conference, GECCO'11 - Companion Publication
    Pages239-240
    Number of pages2
    DOIs
    Publication statusPublished - 2011
    Event13th Annual Genetic and Evolutionary Computation Conference, GECCO'11 - Dublin, Ireland
    Duration: 2011 Jul 122011 Jul 16

    Other

    Other13th Annual Genetic and Evolutionary Computation Conference, GECCO'11
    CountryIreland
    CityDublin
    Period11/7/1211/7/16

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    Keywords

    • adaptive stock selection
    • genetic programming
    • portfolio selection
    • risk management
    • stock markets

    ASJC Scopus subject areas

    • Computational Theory and Mathematics
    • Theoretical Computer Science

    Cite this

    Parque Tenorio, V., Mabu, S., & Hirasawa, K. (2011). Genetic network programming with changing structures for a novel stock selection model. In Genetic and Evolutionary Computation Conference, GECCO'11 - Companion Publication (pp. 239-240) https://doi.org/10.1145/2001858.2001992